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Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson
| Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson |
| Edizione | [2006 ed.] |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (0 p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
ZiembaW. T
VicksonR. G |
| Collana | World Scientific Handbook in Financial Economics Series |
| Soggetto topico |
Finance
Mathematical optimization Stochastic processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-37927-1
9786611379278 981-277-365-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises
Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models Computational and Review Exercises |
| Record Nr. | UNINA-9910451499003321 |
| Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson
| Stochastic optimization models in finance [[electronic resource] /] / editors, William T. Ziemba, Raymond G. Vickson |
| Edizione | [2006 ed.] |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (0 p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
ZiembaW. T
VicksonR. G |
| Collana | World Scientific Handbook in Financial Economics Series |
| Soggetto topico |
Finance
Mathematical optimization Stochastic processes |
| ISBN |
1-281-37927-1
9786611379278 981-277-365-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises
Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models Computational and Review Exercises |
| Record Nr. | UNINA-9910784970403321 |
| Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization models in finance / / editors, William T. Ziemba, Raymond G. Vickson
| Stochastic optimization models in finance / / editors, William T. Ziemba, Raymond G. Vickson |
| Edizione | [2006 ed.] |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2006 |
| Descrizione fisica | 1 online resource (0 p.) |
| Disciplina | 332.01/51922 |
| Altri autori (Persone) |
ZiembaW. T
VicksonR. G |
| Collana | World Scientific Handbook in Financial Economics Series |
| Soggetto topico |
Finance
Mathematical optimization Stochastic processes |
| ISBN |
1-281-37927-1
9786611379278 981-277-365-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
CONTENTS; Preface and Brief Notes to the 2006 Edition; Preface in 1975 Edition Acknowledgments; PART I. MATHEMATICAL TOOLS; Introduction; 1. Expected Utility Theory; 2. Convexity and the Kuhn Tucker Conditions; 3. Dynamic Programming; Computational and Review Exercises
Mind-Expanding Exercises PART II. QUALITATIVE ECONOMIC RESULTS; Introduction; 1. Stochastic Dominance; 2. Measures of Risk Aversion; 3. Separation Theorems; Computational and Review Exercises; Mind-Expanding Exercises; PART III. STATIC PORTFOLIO SELECTION MODELS Introduction 1. Mean-Variance and Safety First Approaches and Their Extensions; 2. Existence and Diversification of Optimal Portfolio Policies; 3. Effects of Taxes on Risk Taking; Computational and Review Exercises; Mind-Expanding Exercises PART IV. DYNAMIC MODELS REDUCIBLE TO STATIC MODELS Introduction; 1. Models That Have a Single Decision Point; 2. Risk Aversion over Time Implies Static Risk Aversion; 3. Myopic Portfolio Policies; Computational and Review Exercises; Mind-Expanding Exercises PART V. DYNAMIC MODELS Introduction; 1. Two-Period Consumption Models and Portfolio Revision; 2. Models of Optimal Capital Accumulation and Portfolio Selection; 3. Models of Option Strategy; 4. The Capital Growth Criterion and Continuous-Time Models Computational and Review Exercises |
| Record Nr. | UNINA-9910824398703321 |
| Hackensack, NJ, : World Scientific, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||